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Table 1 T-statistics of the Systemic Risk Indexes. Positive values at 1% significance are reported in bold

From: Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods

Test period T- statistics
  \(\varvec{\lambda }_{max}(Q)CGBS\) DCC-\(\Delta \)CoVaR SRISK DCC-MES
2005Q4 22.36 \(-\)16.28 \(-\)0.39 \(-\)6.02
2006Q1 12.52 \(-\)6.50 \(-\)0.38 \(-\)3.51
2006Q2 16.26 6.35 0.80 4.93
2006Q3 17.54 \(-\)1.89 0.37 2.09
2006Q4 11.68 \(-\)22.44 \(-\)0.67 \(-\)11.60
2007Q1 19.58 4.42 0.35 7.02
2007Q2 19.94 \(-\)5.39 \(-\)0.23 0.18
2007Q3 18.56 9.27 1.08 6.18
2007Q4 18.75 7.13 0.72 5.14
2008Q1 14.79 20.07 3.28 14.61
2008Q2 11.30 6.03 3.14 5.80
2008Q3 6.35 8.76 4.81 9.67
2008Q4 5.02 11.90 4.89 9.92
2009Q1 4.74 8.30 3.72 6.48
2009Q2 4.23 7.10 4.47 5.97
2009Q3 7.04 5.56 3.70 4.86
2009Q4 5.72 5.92 3.24 5.13
2010Q1 11.91 4.95 3.19 4.61
2010Q2 11.37 10.36 5.26 7.83
2010Q3 13.22 5.10 3.92 4.98
2010Q4 1.33 2.91 3.62 2.93
2011Q1 6.79 4.31 2.76 5.85
2011Q2 6.97 4.59 3.66 3.99
2011Q3 2.36 10.28 4.76 9.64
2011Q4 5.56 7.43 3.44 6.62
2012Q1 3.50 4.34 2.72 4.99
2012Q2 2.30 5.71 3.10 4.18
2012Q3 3.78 4.35 2.91 4.14
2012Q4 4.94 \(-\)1.20 1.95 2.07
2013Q1 1.37 0.17 1.88 3.17
2013Q2 0.05 2.55 4.23 5.07
2013Q3 \(-\)2.67 \(-\)0.82 2.74 2.94
2013Q4 1.32 \(-\)5.62 1.47 \(-\)1.08
2014Q1 3.34 1.32 1.70 3.56
2014Q2 3.57 \(-\)4.85 1.77 1.11
2014Q3 2.76 \(-\)0.88 1.43 1.43
2014Q4 \(-\)0.36 1.33 2.32 2.79
  1. Reference values for the non-crisis period are the average of the first 5 quarters 2005Q4–2006Q4 for the DCC-\(\Delta \)CoVaR, SRISK and DCC-MES while we use 1 as reference value for \(\lambda _{max}(Q)\) as derived in Eq. (10). Standard deviations used in the t-statistics for the DCC-\(\Delta \)CoVaR, SRISK and DCC-MES refer to the cross sectional standard deviation of countries SRIs in each quarter, while the standard deviation of the right eigenvector of Eq. (16) is used for \(\lambda _{max}(Q)\). Note, the right eigenvector centrality for each of the 18 national banking systems is the measure of their systemic importance